Build a Taiwan Macro-Econometric Model
Date Issued
2009
Date
2009
Author(s)
Zheng, Kuang-Nan
Abstract
Utilizing data from Directorate-General of budget, Accounting and Statistics from Taiwan, we build a macroeconomic model on the basis of Keynesian’s effective demand theory to forecast the interaction of commodity markets, labor markets, financial markets and government in Taiwan. We establish structural equations and definition equations to describe the relationship between our economic variables, and use GAUSS-SEIDEL iterative method to solve the simultaneous equations. We focus on the static solutions, in-sample fitness and out-of-sample forecasting. Our estimate periods are 1984Q1-2008Q4 and 2007Q1-2008Q4, then using the results to forecast 2009Q1-2012Q4. We find the in-sample estimates are good-fitted and the out-of-sample predictions are stationary. Finally, in our model, we suppose the oil price is US 90 dollars and US 40 dollars and assume the price growth is 3.8% in 2009Q1, under the sensitive analysis, we reveal that when the growth of oil price is persistent, the higher the oil price, the better the domestic economy will be, and vice versa.
Subjects
macro-econometric model
aggregate supply & demand model
policy simulation
simultaneous equations
scenario simulation
Type
thesis
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